Advances in the Analysis of Energy Commoditiesand of Multivariate Dependence StructuresInaugural-Dissertationzur Erlangung des akademischen Grades eines Doktorsder Wirtschafts- und Sozialwissenschaften(Dr. rer. pol.)der Friedrich-Alexander-Universitat Erlangen-Nurn bergvorgelegt von: Diplom-Wirtschaftsmathematiker Stephan Schluteraus: Munc henxKumulative PromotionErstreferent: Professor Dr. Ingo KleinZweitreferent: Professor Dr. Wolfgang StummerLetzte Prufung: 27.01.1011Wer mit den wenigsten und einfachsten Symbolendas Meiste und Bedeutendste ausspricht,der ist der gr o te Kunstler.Heinrich HeineAcknowledgementsFirst and foremost I would like to express my deep and sincere gratitude to mydoctoral advisor Professor Dr. Ingo Klein for his invaluable support and advice. Heencouraged me to write this thesis and gave me every support necessary to conductthis project. Besides that I would like to thank Dr. Matthias Fischer for the fertilecooperation. I would also like to thank Klaus Herrmann for his advice and the greatcompany during the many years we spent together at the department. Furthermore,I am indebted to our wonderful secretary Mrs. Enhuber, my great colleagues and allthose people and friends who helped me on my way. Eventually I would like to showmy deepest gratitude to my family for their unconditional and invaluable support.Contents1 Introduction 32 A New Model for Daily Electricity Prices 172.1 Introduction . . . . . . . . . . . .